Modeling volatility and dependence of European carbon and energy prices
Year of publication: |
2023
|
---|---|
Authors: | Berrisch, Jonathan ; Pappert, Sven ; Ziel, Florian ; Arsova, Antonia |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 52.2023, p. 1-9
|
Subject: | Carbon prices | Conditional volatility | Copula | Emission allowances | Energy markets | Forecasting | Multivariate modeling | Time series | Volatilität | Volatility | Emissionshandel | Emissions trading | EU-Staaten | EU countries | Treibhausgas-Emissionen | Greenhouse gas emissions | Zeitreihenanalyse | Time series analysis | Energiemarkt | Energy market | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Ökosteuer | Environmental tax | Energiepreis | Energy price |
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